| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 10,458.44% |
| CAGR﹪ | 10.76% | 14.92% |
| Sharpe | 0.77 | 0.71 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.75 | 0.69 |
| Sortino | 1.18 | 1.13 |
| Smart Sortino | 1.15 | 1.1 |
| Sortino/√2 | 0.84 | 0.8 |
| Smart Sortino/√2 | 0.81 | 0.78 |
| Omega | 1.76 | 1.73 |
| Max Drawdown | -50.78% | -66.73% |
| Max DD Date | 2009-02-28 | 2009-02-28 |
| Max DD Period Start | 2007-11-30 | 2007-11-30 |
| Max DD Period End | 2012-02-29 | 2011-12-31 |
| Longest DD Days | 2223 | 2314 |
| Volatility (ann.) | 14.76% | 23.44% |
| R^2 | 0.65 | 0.65 |
| Information Ratio | 0.11 | 0.11 |
| Calmar | 0.21 | 0.22 |
| Skew | -0.55 | -0.33 |
| Kurtosis | 0.98 | 1.25 |
| Ulcer Performance Index | 211.25 | 493.28 |
| Risk-Adjusted Return | 754.56% | 1755.77% |
| Risk-Return Ratio | 0.22 | 0.21 |
| Avg. Return | 0.95% | 1.4% |
| Avg. Win | 3.54% | 5.68% |
| Avg. Loss | -3.98% | -6.06% |
| Win/Loss Ratio | 0.89 | 0.94 |
| Profit Ratio | 0.5 | 0.67 |
| Expected Daily | 0.85% | 1.17% |
| Expected Monthly | 0.85% | 1.17% |
| Expected Yearly | 10.59% | 14.69% |
| Kelly Criterion | 25.81% | 20.82% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -9.73% |
| Expected Shortfall (cVaR) | -8.96% | -13.68% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 0.73 |
| Gain/Pain (1M) | 0.76 | 0.73 |
| Payoff Ratio | 0.89 | 0.94 |
| Profit Factor | 1.76 | 1.73 |
| Common Sense Ratio | 1.85 | 2.1 |
| CPC Index | 1.02 | 1.0 |
| Tail Ratio | 1.05 | 1.22 |
| Outlier Win Ratio | 2.95 | 3.06 |
| Outlier Loss Ratio | 2.93 | 3.33 |
| MTD | -1.05% | -2.28% |
| 3M | 13.91% | 14.73% |
| 6M | 8.94% | 8.13% |
| YTD | 8.94% | 8.13% |
| 1Y | 20.92% | 31.28% |
| 3Y (ann.) | 18.77% | 26.82% |
| 5Y (ann.) | 12.51% | 13.41% |
| 10Y (ann.) | 15.13% | 20.5% |
| All-time (ann.) | 10.76% | 14.92% |
| Best Day | 12.7% | 21.93% |
| Worst Day | -16.52% | -29.94% |
| Best Month | 12.7% | 21.93% |
| Worst Month | -16.52% | -29.94% |
| Best Year | 38.05% | 72.89% |
| Worst Year | -36.79% | -49.52% |
| Avg. Drawdown | -6.27% | -11.02% |
| Avg. Drawdown Days | 122 | 188 |
| Recovery Factor | 7.49 | 8.41 |
| Ulcer Index | 0.14 | 0.21 |
| Serenity Index | 3.21 | 3.5 |
| Avg. Up Month | 3.54% | 5.68% |
| Avg. Down Month | -3.98% | -6.06% |
| Win Days | 65.09% | 61.69% |
| Win Month | 65.09% | 61.69% |
| Win Quarter | 73.33% | 68.15% |
| Win Year | 82.35% | 76.47% |
| Beta | - | 1.28 |
| Alpha | - | 0.02 |
| Correlation | - | 80.76% |
| Treynor Ratio | - | 8154.8% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 23.75 | 2.73 | + |
| 1994 | 0.40 | -13.96 | -35.14 | - |
| 1995 | 38.05 | 72.89 | 1.92 | + |
| 1996 | 22.50 | 31.50 | 1.40 | + |
| 1997 | 33.48 | 28.51 | 0.85 | - |
| 1998 | 28.69 | 35.81 | 1.25 | + |
| 1999 | 20.39 | 13.34 | 0.65 | - |
| 2000 | -9.74 | -12.62 | 1.30 | - |
| 2001 | -11.76 | -20.68 | 1.76 | - |
| 2002 | -21.58 | -27.27 | 1.26 | - |
| 2003 | 28.18 | 46.15 | 1.64 | + |
| 2004 | 10.70 | 18.71 | 1.75 | + |
| 2005 | 4.83 | 10.49 | 2.17 | + |
| 2006 | 15.85 | 21.72 | 1.37 | + |
| 2007 | 5.15 | 10.04 | 1.95 | + |
| 2008 | -36.79 | -49.52 | 1.35 | - |
| 2009 | 26.35 | 28.23 | 1.07 | + |
| 2010 | 15.06 | 34.46 | 2.29 | + |
| 2011 | 1.89 | 18.89 | 9.97 | + |
| 2012 | 15.99 | 27.24 | 1.70 | + |
| 2013 | 32.31 | 31.22 | 0.97 | - |
| 2014 | 13.46 | 31.80 | 2.36 | + |
| 2015 | 1.23 | -3.10 | -2.51 | - |
| 2016 | 12.00 | 20.71 | 1.73 | + |
| 2017 | 21.71 | 40.93 | 1.89 | + |
| 2018 | -4.57 | -11.57 | 2.53 | - |
| 2019 | 31.22 | 59.73 | 1.91 | + |
| 2020 | 18.33 | 38.36 | 2.09 | + |
| 2021 | 28.73 | 41.02 | 1.43 | + |
| 2022 | -18.18 | -38.31 | 2.11 | - |
| 2023 | 26.18 | 37.62 | 1.44 | + |
| 2024 | 24.89 | 32.80 | 1.32 | + |
| 2025 | 17.72 | 35.10 | 1.98 | + |
| 2026 | 8.94 | 8.13 | 0.91 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2011-12-31 | -66.73 | 1493 |
| 2000-05-31 | 2006-09-30 | -59.73 | 2314 |
| 2022-01-31 | 2024-05-31 | -44.18 | 852 |
| 2020-02-29 | 2020-06-30 | -26.43 | 123 |
| 1998-07-31 | 1998-10-31 | -19.79 | 93 |
| 1994-02-28 | 1995-04-30 | -19.69 | 427 |
| 2018-09-30 | 2019-03-31 | -18.60 | 183 |
| 2015-03-31 | 2016-02-29 | -15.18 | 336 |
| 2026-03-31 | 2026-03-31 | -11.99 | 1 |
| 2020-09-30 | 2020-10-31 | -11.54 | 32 |